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QuantLib_InterpolatedSurvivalProbabilityCurve
Langue: en
Version: 382878 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::InterpolatedSurvivalProbabilityCurve -DefaultProbabilityTermStructure based on interpolation of survival probabilities.
SYNOPSIS
#include <ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.hpp>
Inherits QuantLib::SurvivalProbabilityStructure, and QuantLib::InterpolatedCurve< Interpolator >.
Public Member Functions
InterpolatedSurvivalProbabilityCurve (const std::vector< Date > &dates, const std::vector< Probability > &probabilities, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
TermStructure interface
Date maxDate () const
other inspectors
const std::vector< Time > & times () const
const std::vector< Date > & dates () const
const std::vector< Real > & data () const
const std::vector< Probability > & survivalProbabilities () const
std::vector< std::pair< Date, Real > > nodes () const
Protected Member Functions
InterpolatedSurvivalProbabilityCurve (const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
InterpolatedSurvivalProbabilityCurve (const Date &referenceDate, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
InterpolatedSurvivalProbabilityCurve (Natural settlementDays, const Calendar &, const DayCounter &, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date >(), const Interpolator &interpolator=Interpolator())
DefaultProbabilityTermStructure implementation
Probability survivalProbabilityImpl (Time) const
Real defaultDensityImpl (Time) const
Protected Attributes
std::vector< Date > dates_
Detailed Description
template<class Interpolator> class QuantLib::InterpolatedSurvivalProbabilityCurve< Interpolator >
DefaultProbabilityTermStructure based on interpolation of survival probabilities.Author
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